Vanguard 500 Index Fund (VFINX)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark SPY (78.3%) in the period of the last 5 years, the total return of 77.5% of Vanguard 500 Index Fund is lower, thus worse.
• During the last 3 years, the total return is 71%, which is smaller, thus worse than the value of 71.2% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the compounded annual growth rate (CAGR) of 12.2% in the last 5 years of Vanguard 500 Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.3%)
• During the last 3 years, the annual performance (CAGR) is 19.7%, which is greater, thus better than the value of 19.7% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the 30 days standard deviation of 16.8% in the last 5 years of Vanguard 500 Index Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (17%)
• During the last 3 years, the historical 30 days volatility is 14.8%, which is lower, thus better than the value of 15% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside risk over 5 years of Vanguard 500 Index Fund is 11.7%, which is greater, thus worse compared to the benchmark SPY (11.7%) in the same period.
• Looking at downside volatility in of 10% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10.1%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark SPY (0.58) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.58 of Vanguard 500 Index Fund is larger, thus better.
• During the last 3 years, the Sharpe Ratio is 1.16, which is larger, thus better than the value of 1.14 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark SPY (0.84) in the period of the last 5 years, the excess return divided by the downside deviation of 0.83 of Vanguard 500 Index Fund is lower, thus worse.
• Compared with SPY (1.7) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.72 is larger, thus better.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Index over 5 years of Vanguard 500 Index Fund is 8.48 , which is higher, thus worse compared to the benchmark SPY (8.42 ) in the same period.
• Looking at Ulcer Index in of 3.42 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.42 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -24.6 days of Vanguard 500 Index Fund is smaller, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -18.8 days is larger, thus better.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum time in days below previous high water mark of 488 days in the last 5 years of Vanguard 500 Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum days under water in of 87 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 days).

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• The average days below previous high over 5 years of Vanguard 500 Index Fund is 119 days, which is larger, thus worse compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average days under water is 19 days, which is higher, thus worse than the value of 19 days from the benchmark.